The correct delimiter in SQL is single quotes.
DELETE FROM table1 WHERE data_id='111';
DELETE FROM table2 WHERE data_id='111';
DELETE FROM table3 WHERE data_id='111';
mySQL will support deletes from multiple tables, if you're using mySQL 4.0 or later, but I don't suggest it, as it can lock you into using mySQL, and it would mean that should you want to change out your backend, you'll have to go through and remove every mySQL-ism in your code. I find it better to be database-ambiguous unless it's something that you can't do efficiently without it.
Update: I stand corrected -- recent versions of mySQL supports double quotes as a delimiter. I would still advise against it, so you don't have problems should you later move to Oracle, or some other less forgiving database.